Unforunately, I don't think you can automatically.  You can paint that if you want it right in 3D, or you can add a model element to your family that can be parametrically connected to the wall thickness that can provide the finish at the wall.

I have had the same issue, and unfortunately, I don't believe there is an automatic way to do this like there is at the jambs.

Let me know what you figure out, or if I can help or clarify further!

Allow me to clarify...

You can control this in the jamb condition within the family, but you can't at the head condition.  For the jambs, you can use a reference plane parallel to the wall (constrained the way you like), and in the properties of the reference plane, check the box "Wall Closure."  If you don't define anything in the family, the return assumes the default location which I believe is the origin line of inserted door or window.  You can control which side wraps in the project under the insert type properties or the wall type properties.

In my experience you can only have two of these reference planes with "Wall Closure" selected, one for the exterior return and one for the interior return, and as I previously mentioned, they are defining the plane parallel to the wall to where you want the finish to return.

Remember also, that once the family is loaded into the project, you can control whether wall hosted objects (inserts) have returns in the wall type or the individual door/window type.

For a wall type, any inserted object into that wall type will have returns, but the return to location is based on the settings in the individual families.  Or you can control if it shows returns by each Insert type in the project, to where you could have some types in the same wall that show returns, and some that don't.

See the attached screenshots.  These are far from perfect...just did them real fast to show what I mean.

Good deal

Glad I could help!